pdfzk¶

Purpose¶

Computes the panel stationary test with flexible Fourier form structural breaks.

Format¶

{ Nkpss, Fzk, pval } = pdfzk(y, model, k[, varm])¶

Parameters:

y (NxT matrix) – Panel data to be tested.
model (Scalar) –
Model to be implemented.

1 Level shift model.

2 Level and trend shift model.
varm (Scalar) –
Optional, long-run consistent variance estimation method. Default = 1.

1 iid.

2 Bartlett.

3 Quadratic Spectral (QS).

4 SPC with Bartlett (Sul, Phillips & Choi, 2005)

5 SPC with QS

6 Kurozumi with Bartlett

7 Kurozumi with QS

Returns:

Nkpss (Scalar) – KPSS statistic with common factor for each cross-section.
FZK (Scalar) – Panel stationarity statistic with N(0,1).
pval (Scalar) – p-value of FZk.

Examples¶

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/pd_full.csv",
                              ". + date($Date, '%b-%y')");

// Panel stationarity test with level shifts
model = 1;
{ Nkpss, FZk, pval } = PDfzk(y, model, 4);

Source¶

pd_nkarul.src